Marco Avellaneda: Tributes from the Quant Community

In remembrance of Marco Avellaneda here we publish tributes from the Quant Community in the order that Wilmott received them.

Marco Avellaneda February 16, 1955 – June 11, 2022

Raphael Douady

The passing away, last night, of my very dear friend Marco, after a long struggle with the disease is an enormous shock. So many memories hit back like a boomerang.

If you want to know his achievements in math, in mathematical finance, in theoretical physics, see his Wiki page.

But if you want to know the real Marco, you must know the strength of his humor, his energy, his passion in anything he was doing. An endless list of students and collaborators whom he engaged into his always original ideas. One of the very rare ones, in this world of math finance, who was equivalently at ease with the highest math, with the most elaborate concepts of physics, and with the bare reality of financial markets, in which he had a strong trading experience, particularly options, for which he developed a quite original “minimal entropy” approach. And yet, when I was recently speaking with him, while laughing at his medical situation, he was telling me “do you remember my 1991 paper on the Stefan problem”. In other words, “we are having fun with finance, but remember that, initially, we are mathematician!” This was Marco, a great scientist among the scientists, who, by “having fun” in finance, still managed to lead an entire school of thought.

On a personal level, he impacted a life change for me, since he was responsible for my coming to the USA and for a whole new opening in my professional life. We started this completely crazy Courant Institute Math Finance Seminar where, every Thursday, academics and traders were harshly arguing, one of the most active and tough on “disconnected academics” being Nassim Taleb! The community we built through this seminar is still very solid. This magic is Marco’s, too!

Marco, this is just a good bye, as we know we’ll join you one day or another. In the meantime, have fun with all those who left us too early: Peter and all the others.

(Reproduced from a LinkedIn post, with permission.)

Paul Wilmott

Marco was Argentinian. Being Argentinian means having absolute confidence in everything, said or done. Maths, finance, economics, politics, … self doubt never featured. Nor, rather ironically, did uncertainty. He was, of course, invariably correct.

He will be greatly missed.

Darrell Duffie

Marco was a treasure, both professionally and on a personal level. He was one of the freest thinking and most creative people that I have encountered. I still remember, for example, turning to Marco for help on a technical question back in the 1990s when he was at Morgan Stanley. He was generous with his time and helped me better understand my problem. Over the years, we had many great conversations and meals together, and I never cease to be amazed at his energy, friendliness, and optimism. I will miss him greatly.

Zhenyu Cui

Research In Options Conference, Búzios, 2008

Marco was one of the main organizers (together with Bruno Dupire and Jorge Zubelli) of the Research in Options (RIO) conference held every year in Búzios, Brazil. I attended the conference back in 2012 when I was a Ph.D. student and was immediately impressed, not only by the beautiful scenery but also the thought-provoking talks from world experts in the quantitative finance community. I still remember Marco’s interesting talk on applying linear programming to liquidation risk. In my later academic career, I have benefited a lot from reading Marco’s research on leveraged ETFs and VIX futures. Back in 2013, his quote “The era of the pure quant is over” already foreshadowed the use of machine learning and data science in quantitative finance. He will be remembered and truly missed. 

Jean-Philippe Bouchaud

Marco was a creative, independent, terrific person. He helped us kickstart CFM’s vol arb in 2004-2005. We will all miss his unmistakable style. A few months after Peter Carr, the quant community has lost two of its best minds.

Marc Potters

I am deeply saddened to learn of the passing of Marco Avellaneda. We had worked closely together in the mid-noughties when he was leading the first team to trade volatility at CFM. He was a sharp mind with original ideas and a charismatic leader who cared about his team. I remember many heated but constructive discussions about volatility, hedging and systematic trading. I remember long discussions about life and everything that ended in general laughter. I remember him as a friend.

Paul Glasserman

Marco’s passing is very sad news. Few people moved as seamlessly between the university and industry as Marco, to the benefit of both worlds. He helped put math finance on the map academically in the U.S. His work was always problem-driven, with the math following the application, and he talked about research with a ready smile, always excited to share his insights into markets. We’ll miss him.

Dr. Graham L Giller

I have very fond memories of Marco. I met him when invited to speak at his ‘Big Data Finance’ conference series during my tenure at JP Morgan, where my work was mostly focused on operational efficiencies. The time we spent together reinvigorated my interest in academic finance and in writing about the subject, and I am very grateful to him for that.

Anmar Al-Wakil

Marco Avellaneda was undeniably a giant in his field, carrying many on his shoulders. His groundbreaking research in volatility modeling and options pricing has deeply influenced my early education and academic choices. He was the kind, generous and humble man who gave me the courage to confront the complexity of modeling while opening my eyes to its beautiful intricacies. I had the privilege to work alongside him as an editorial board member for a young academic journal. It was always a delight to meet him at conferences or exchange with him on a variety of topics. Therefore, I wish to express all my gratitude to Marco Avellaneda for his contributions and achievements in this world.

Dongning Qu

It is really sad to hear Marco has passed away. He is such a character in the quant community, innovative, thoughtful, and insightful. His works cover a wide range of derivatives and quantitative finance topics, and he has influenced a generation of quants. He’ll be truly missed by the quant community.

Hyungsok Ahn

I met Marco in 1995. Back then, I was organizing weekly seminars at UCSB, CA, and invited him for a talk. His presentation was ingenious,  permeating, and motivating: the sensation I felt on that day still remains untarnished. I have met him on various other occasions. Each time, he kindly shared his ideas, always insightful, for which I am grateful. His enthusiasm and achievements will be remembered by many for long. RIP 

Jim Gatheral

Jim Gatheral & Marco Avellaneda

I have many fond memories of Marco, who was unfailingly energetic and charming. We shared a number of long car rides together, once with him driving,  so we had the opportunity to talk a lot. We also shared a helicopter ride which was my first, and I believe his first, though, of course, he acted otherwise.  

We rarely spoke about mathematics, sometimes about trading, but more often about life. There is one Italian saying that he left me with that I always thought reflected his (and my) attitude to new ideas:

Se non è vero, è ben trovato” (Even if it is not true, it is a good story).

I repeat this every semester to my students and remember Marco each time.

Jesper Andreasen

No doubt Marco’s research on subjects like uncertain volatility, minimal entropy, and basket option volatility smiles was deeply original and ahead of it’s time — maybe ahead of these times too.

Marco was frighteningly sharp. I remember a heated quant discussion in a bar in Paris in the early 00s where I was teasing a small crowd with a carefully prepared and constructed impossible-to-price-option. Marco didn’t say much, but the next morning he casually landed a piece of paper on my desk with the solution. I actually didnt think there was one.

Marco always had a positive outlook on things. In the wake of the financial crisis there was a panel discussion about the seemingly bleak future of quants at a global derivatives conference in Amsterdam. Marco and I defended the contrarian positive blue corner against the forever pessimists in the red corner: Bruno Dupire and Paul Wilmott.

“Quant kind has just stopped crawling and is starting to walk. You ain’t seen nothing yet”, he said. I still hope he was right.

Uwe Wystup

I remember implementing a paper by Marco and five other co-authors on Weighted Monte Carlo, which was very insightful. I am thankful for the inspiration I discovered.

Samit Ahlawat

We lost a quant luminary, a prolific mathematician, and a prodigious finance practitioner with the sad demise of Marco Avellaneda on June 11th, 2022. First and foremost, my thoughts and prayers go out to family members and loved ones. As a director of the Division of Financial Mathematics at New York University’s Courant Institute, he left an indelible mark in the field of quantitative finance with his groundbreaking research in uncertain volatility models for options pricing. His trailblazing ascent from Brazil, to his completion of his Ph.D. at the prestigious University of Minnesota, Twin Cities, to his successful corporate career leading to his position of leadership at the foremost research institutions in the world is a testament to Marco’s intellect, perseverance, and dedication to the field of mathematics and quantitative finance. His mark will continue to be felt through his wide-ranging research and through a generation of young students at New York University inspired by his teaching.

Daniel Arrieta Rodriguez

I met Marco in 2001. I was about to begin my postgraduate studies.He was teaching a summer course at an international college (UIMP) in Santander (Spain). In this course he was introducing the application of relative entropy to financial pricing. Ten years later, I was presenting my Ph.D. thesis which used Marco’s ideas. He always was an inspiration. Nowadays I have my first Ph.D. student and Marco’s spark is also in this new research.

Reference

  1. Avellaneda, R Buff, C. Friedman, N Grandchamp, L. Kruk, (2001), Weighted MonteCarlo: A new Technique for Calibrating Asset-Pricing Models, International Journal of Theoretical and Applied Finance.

Daniel Duffy

First of all, my condolences to Marco’s family, friends, and colleagues. I have been in contact with Professor Marco a few times related to extensions to the Black Scholes equation, especially the Uncertain Volatility Model (UVM). He was a creative quant and ahead of the posse. I had the honor of meeting him at NYU when he organized a seminar around 2001 in which Alex Levin and I presented a paper on two-factor interest-rate models that was solved by using the Marchuk splitting scheme.

Marco has also been influential in other ways; for example, his UVM work that one of my students (Javad Gholizadeh) at the University of Birmingham implemented using the Alternating Direction (ADE) method. A second application of UVM is discussed in Pealat and Duffy (2011).

References

Davidson, A. and Levin, A., (2014), Mortgage Valuation Methods, Oxford University Press.

Pealat, G. and Duffy, D., (2011), The Alternating Direction Explicit (ADE) Method for One-Factor Problems, Wilmott Magazine (July).

Jerome Kreuser

I met Marco in 1998.  He generously gave me several early PostScript chapters on his book Quantitative Modeling of Derivative Securities.  I still have them.  I thought it quite interesting and relevant to our work.  I invited him to speak on options to the World Bank Group.  He came for two days and we had great discussions on the applications to sovereign risk management.  In 2006 I asked him if we could include his consulting group, Finance Concepts, in an RFP we were preparing for the central bank of India.  He and his partner, Rama Cont, agreed.  To my regret, it was the last opportunity I had to work with him.  I wish I had more.